There are some reasons that can eplain this:

• The senate may seem to have been relegated to second fiddle, but it still was a body of government that gathered influencial and important people. The emperor may have been appointed by the military, but with so many claimants to the empire it was difficult to get real power, if you had the support of the Senate it gave weight to your claim. The Senate may have lost it's 'kingmaker' power to the Praetorians or the army, the old body still had its use for legitimate power as it still held grasp on the (non-military) people.

• They were at the 'republican' heart of the empire and it would've caused more division in the empire if an emperor would dissolve it. Romans swore to never be ruled by a sole rule/king again, absolving the Senate would break this rule and bring a certain end to the claimant's grasp for power. As long as the Senate was around, the charade of not losing the republican way could continue.

• By keeping the Senate the military emperors could focus on the one thing they knew they could: go to war, the Senate would keep other worldly business in check.

• They were also at the religious heart of the empire (with eg. the Altar of Victory in the curia) and as such were again still a force to be reckoned with.

But most importantly, since the 'birth of the empire' under Augustus the Senate got more and more powerful by taking over the judicial, electoral and legislative responsabilities of the assemblies. So in the 3rd century, they still appointed the consuls for that year, were in charge of trials, issued new laws, etc.

It's only with the constitutionial reforms of Diocletian that the Senate really became irrelevant (to a certain point).